Di Matteo was sacked just six months after guiding the Blues to their first European Cup triumph, having also won the FA Cup final after beating Liverpool 2-1 at Wembley.
However, Chelsea recorded just two victories in the Italian's final eight games in charge, a run which cost the club their position at the top of the table and left progression to the knockout stages of the Champions League out of their hands.
Azpilicueta was signed by Di Matteo in the summer transfer window and he firmly believes the players should take the blame.
He said: "We have the most responsibility on the pitch, because the players play.
"We sometimes made the wrong decisions and the wrong pass. We did the kind of thing that the manager could not do anything to correct. So it is true we had responsibility.
"It is true that we are in a period where it is not easy, but the season is long, it is important to be on top in the end. It is a kind of period we must pass the best as we can."